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Processus de diffusion et biais de discrétisation : une analyse empirique par inférence indirecte appliquée aux taux d'intérêt
De Winne, Rudy - In: Finance : revue de l'Association Française de Finance 19 (1998) 1, pp. 41-58
Persistent link: https://www.econbiz.de/10001398790
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Pricing options on interest rate instruments
Tunaru, Radu; Eales, Brian - 2008
Persistent link: https://www.econbiz.de/10003765784
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Financial derivatives pricing : selected works of Robert Jarrow
Jarrow, Robert A. - 2008
Persistent link: https://www.econbiz.de/10003765886
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The SABR/LIBOR market model : pricing, calibrating and hedging for complex interst-rate derivatives
Rebonato, Riccardo; McKay, Kenneth; White, Richard - 2009
Persistent link: https://www.econbiz.de/10003767860
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Interest rate models - theory and practice : with smile, inflation and credit ; with 131 tables
Brigo, Damiano; Mercurio, Fabio - 2006 - 2. ed.
Persistent link: https://www.econbiz.de/10002116360
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Cash subadditive risk measures and interest rate ambiguity
El Karoui, Nicole; Ravanelli, Claudia - In: Mathematical finance : an international journal of … 19 (2009) 4, pp. 561-590
Persistent link: https://www.econbiz.de/10003937131
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Pricing interest rate derivates under different interest rate modeling : a critical and empirical comparison
De Simone, Antonio - In: Investment management and financial innovations 7 (2010) 2, pp. 49-58
Persistent link: https://www.econbiz.de/10003968762
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Pricing interest-rate derivatives : a fourier-transform based approach
Bouziane, Markus - 2008
Persistent link: https://www.econbiz.de/10003571605
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Cash sub-additive risk measures and interest rate ambiguity
El Karoui, Nicole; Ravanelli, Claudia - 2008
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub-additive axiom to preserve the original difference between the numeraire of...
Persistent link: https://www.econbiz.de/10003961489
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Liquidity effect in OTC options markets : premium or discount?
Deuskar, Prachi; Gupta, Anurag; Subrahmanyam, Marti G. - In: Journal of financial markets 14 (2011) 1, pp. 127-160
Persistent link: https://www.econbiz.de/10009267085